کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
8902247 | 1631961 | 2018 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A multiplicative seasonal component in commodity derivative pricing
ترجمه فارسی عنوان
یک مولفه فصلی چندگانه در قیمت گذاری مشتقات کالایی
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
چکیده انگلیسی
In this paper, we focus on a seasonal jump-diffusion model to price commodity derivatives. We propose a novel approach to estimate the functions of the risk-neutral processes directly from data in the market, even when a closed-form solution for the model is not known. Then, this new approach is applied to price some natural gas derivative contracts traded at New York Mercantile Exchange (NYMEX). Moreover, we use nonparametric estimation techniques in order to avoid arbitrary restrictions on the model. After applying this approach, we find that a jump-diffusion model allowing for seasonality outperforms a standard jump-diffusion model to price natural gas futures. Furthermore, we also show that there are considerable differences in the option prices and the risk premium when we consider seasonality or not. These results have important implications for practitioners in the market.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 330, 1 March 2018, Pages 835-847
Journal: Journal of Computational and Applied Mathematics - Volume 330, 1 March 2018, Pages 835-847
نویسندگان
L. Gómez-Valle, Z. Habibilashkary, J. MartÃnez-RodrÃguez,